• "Meteor showers" and "heat waves" in Greek financial markets.

      Apergis, Nicholas; Katrakilidis, Costas; Papastamatis, Stamatis; University of Macedonia; Aristotelian University of Thessaloniki; Ioanian Bank of Greece (Springer, 1997-11)
      This paper examines the presence of "meteor showers" and "heat waves" effects in Greek financial markets. In particular, the relationship between the stock market price index volatility and the volatility of three exchange rates (U.S. dollar, deutsche mark, and ECU) recorded on a daily basis is investigated. The results provide evidence in favor of the "heat wave" hypothesis, while the "meteor shower" hypothesis was observed only with respect to the U.S. dollar.